SWITZERLAND: August CPI / Q2 GDP Scheduled Thursday

• 40,000 TYU6 108.25/109.25 call spds, 27 ref 108-11.5
• Block: -40,000 TYU6 108.5/109.5 call spds, 22 vs. 108-12.5/0.30%

Monday's Europe rates/bond options flow included:

• RXV6 122.5p, bought for 38 in 2k
• OEU6 113.75/114.00cs, sold at 15 and 15.5 in 4.2k
• SFIQ6 96.15/96.25/96.35 call fly bought for 2 in 3.5k
• SFIX6 96.10/96.25/96.40 call fly bought for 3.5 in 2k
• 0NU6 95.90/96.10/96.30 call fly bought for 2.75 in 1.5k 

As noted, borrowing requirement estimates for Q3 (Jul-Sep)'s update range widely, from $588B to $827B (vs $671B estimated by Treasury in May's refunding); for Q4 it runs from $587B to $690B. Figures assume TGA cash ends year at $950B unless noted otherwise. In descending order of Q3 borrowing expectations:

• Goldman Sachs: $827B net marketable borrowing Jul-Sep, $638B Oct-Dec  (assuming TGA target to decline to $900B by end-Q4)
• UBS: $795B net marketable borrowing Jul-Sep, $673B Oct-Dec.
• BMO: $745B net marketable borrowing Jul-Sep, $625B Oct-Dec.
• Deutsche: $730B net marketable borrowing Jul-Sep, $620B Oct-Dec (assuming end-year TGA balance of $1T)
• Citi: $682B financing requirements Jul-Sep, $679B Oct-Dec.
• Wrightson ICAP: $680B net marketable borrowing Jul-Sep, $690B Oct-Dec (assuming TGA target to decline to $900B by end-Q4)
• TD: $596B net marketable borrowing Jul-Sep, $587B Oct-Dec.
• CIBC: $588B net marketable borrowing Jul-Sep, $633B Oct-Dec.